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Do you mean broken off and stuck inside or broken off and fallen out? Broken off and fallen out in this case is a good thing. Sounds like you mean the exhaust is broken at the manifold but what isn't clear is which piece, the manifold or the exhaust pipe. The manifold is a part of the engine, the exhaust pipe is connected to the manifold via the flange you speak of so if it is broken (coming from the engine as a base point) before the flange you need to change the manifold (less likely - hardly ever breaks - usually made of cast iron or cast aluminium) or where they typically break just after the flange (exhaust pipes are notorious for rusting out here, you will need to replace the front exhaust pipe and donut (gasket within the flange). Due to the high heat in this area it is extremely common for the bolts holding the pipe to the manifold to not just be ceased to it (lube will probably do no good) but to actually weld (or forge if you will) themselves to the metal of the pipe, in which case you need to cut them out with a torch. A good mechanic can usually do this without damaging the manifold. That is why it is a good thing if they have broken off and fallen out, much easier to change then welded in bolts (which would not fall out). I say replace the front exhaust pipe because without knowing which year your protege is or if it has an after market exhaust I don't know for sure if it is a one piece system or more than one piece. If it is a one piece you will need to either change the whole thing or do some cutting and welding to piece a section in. In which case, I do not recommend cutting the new piece you purchase but if the old exhaust on the vehicle is in alright shape from the muffler back you may be able to section it off and just replace the front section. Piecing it together would require at least one more piece, one to contact the old pipe to the new which would also need to be welded on but this method can still be cheaper (most of the time). Anything other than a simple in/out replacement will require torches and obviously if the bolts are welded in it is not a simple in/out job.

Have you been to your local junkyard yet? And are you referring to the gasket, or the flange, or the piece of exhaust pipe? You can get the gasket at any auto parts store, as well as the piping which will have the flange already on it.
If you are trying to find the are on the car that it's mounted in, that;s even easier: lay under the car (either supported on jackstands only or if you can squeeze under while it's on the ground go for it) and put you hand on the (hopefully cold) manifold. Trace that down the piping until you get to what will look like an odd muffler. You just found your catalytic converter and the pipe that connects it to the manifold. Hope this helps!

Changing the oil pan gasket on a GMC Yukon XL is realtively simple, but does require removal of the exhaust pipe. You will need a new oil pan gasket and a new exhaust pipe flange gasket.Put the car on ramps or jacks to access the undercarriage.Remove the exhaust pipe by removing the 3 nuts holding the exhaust pipe flange to the exhaust manifold. These nuts often rust and prior application of penetrating oil may be required to remove them without damage. Once the pipe is unbolted, work the exhaust system loose from the hanging brackets. In most cases the entire system does not have to be removed since there is enough room to remove the pan with only the front hangers removed.Drain the oil from the engineRemove the 10 mm bolts holding the pan to the block.Remove the old gasket material and scrape any remaining gasket from the block and pan.Install the new gasket. Forma-Gasket or a similar product may be used in small quantities to "glue" the new gasket in place and prevent shifting while the pan is reattached to the block.Reinsall the 10 mm bolts in a cross pattern to ensure the gasket is compressed evenly. Do not overtighten the bolts.Replace the pipe to flange gasket between the exhaust pipe and the exhaust manifold with a new part.Reattach the exhuast pipe to the hangers.Install the 3 bolts connecting the pipe flange to the exhaust manifold.Fill the engine with oil.

Have you checked the flex pipe section under the engine, and the gasket between the manifold and cat/flex pipe section? Those are two places they usually start to leak from either a blown gasket, or the flex section rusts out under the protective covering.

it can leaking at a number of places
it could be the exhaust manifold itself or the flange where the manifold and exhaust pipe meet or at any of the joints on the exhaust pipes. or it could even be in the actul pipe itself. if you are on a tight budget you could go and ask a shop for an estimate on what it would cost to have the leak repaired.as many shops offer free estimates. sometimes the franchise shops will even fix it for free if it is a real quick fix. my wife had a flange put in for free at a shop because it only took the guy 10 min. to do it.